I think the volume punch through works differently on different models. On the newer remotes, you can set it so that all the visual devices (TV, VCR, CABLE) will punch through to the device of your choice. On the slightly older remotes (ie, the 15-1994) you can only set it to punch though to the TV. I don't think there is any transport key punch through on the newer remotes, but I think I read that some of the older ones work as you have described, ie, if you press TV and then VCR, the volume will be the TV's, and if you press VCR followed by TV, the transport keys will be the VCR's.

Personally, I just program all the buttons as I need them. I use the 15-1994 as my main remote and I have most of the volumes programmed to work the receiver.

Rob.